If you are unfamiliar with the concept of tags, we recommend you start with this general overview page on tagging. Whenever you tag a blog entry, you are not merely categorizing it, but adding it to an interconnected web of similar entries. If it sounds impressive, it really is.
Tagging a blog entry couldn't be easier. In the editor page of each entry, you will see this section:

That is where you specify the tags for that particular blog entry. Simply add the words in the text field, separated by white space (spacebar). For phrases, use the plus (+) sign to join together multiple words (as seen in the example screenshot above).
If you click on the Tag + button, you will be presented with a page listing all tags you have previously used in your blog entries, clicking on which will add them to the tags of the current entry. Doesn't get any easier than this, folks! (Unless they finally came up with that mind-reading machine...in which case, quick, think happy thoughts!)